This paper presents a simple framework for the analysis, valuation and simulation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton's (1987) model of capital market equilibrium with incomplete...

This study has been conducted to empirically examine the determinants of domestic credit to private sector (DCPS) in Pakistan over the period from 1980 to 2009. The relationship is determined using Johansen and Juselius's framework and NLS and ARM based error correction model to complete the...

This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk,...

This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in...

The main objective of this paper is to test for structural breaks and dynamic changes in emerging market volatility from January 1985 to January 2003. We typically relate these issues to stock market reforms since the latter is often considered as one of the most important forces that promote...

The purpose of this paper is to estimate transaction costs on the Tunisian Stock Exchange (TSE). We will use the methodology proposed by Lesmond, Ogden and Trzcinka (1999). Our study is done on an order-driven market whether the Lesmond and al. study was done on a quote-driven market.The data is...

The aim of this paper is to surround the volatility dynamics on the Tunisian stock market via an approach founded on the detection of persistence phenomenon and long-term memory presence. More specifically, our object is to test whether long-term dependent processes are appropriated for...

This paper presents a new derivation of the Modigliani and Miller (1958, 1963, 1966) propositions using the simple model of capital market equilibrium with incomplete information presented in Merton (1987). The model is used to relate the maximization of stockholder expected utility to the...

This paper investigates the effects of opening and closing on transactions demand, volume, and volatility of options prices and their underlying assets. We use an extension of the models in Merton (1971) as in Brock and Kleidon (1992), who consider a similar issue with respect to equity markets....